The paper also compares the difference of value relevance of earnings and earnings persistence between listed companies on the SET and the SSE for yearly data. The test of difference in Pearson correlation between return and earnings shows that value relevance of earnings of listed companies on the SET is more than that of the SSE especially in the year 2007. In year 2006 and 2008, the value relevance of earnings of the listed companies on the SET is more than the SSE but they are insignificant. However, for the test of the difference in earnings persistence, the findings show that the earnings persistence of listed companies on the SET is more than that of the SSE significantly in year 2006, 2007 and 2008.